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Options (finance) --- Options (Finance) --- Prices --- Mathematical models. --- Options (Finance) - Prices - Mathematical models.

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Derivative securities --- Options (Finance) --- Instruments dérivés (Finances) --- Options (Finances) --- Mathematical models. --- Prices --- Modèles mathématiques --- Prix --- Money market. Capital market --- Actuarial mathematics --- Mathematical models --- Derivative securities - Mathematical models --- Options (Finance) - Mathematical models --- Options (Finance) - Prices - Mathematical models

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En trois parties : le comportement de l'investisseur vis-à-vis du risque, les choix de portefeuille et l'équilibre sur le marché des actions ; l'évaluation des options ; l'évaluation des obligations et l'étude de la gamme des taux d'intérêt. Ce livre n'est pas réservé à des mathématiciens chevronnés et n'utilise que les notions usuelles d'analyse et d'algèbre.

Stock warrants --- Portfolio management --- Industrial management --- Bons de souscription d'actions --- Gestion de portefeuille --- Gestion d'entreprise --- Finance --- Finances --- Valeurs mobilieres --- Capital assets pricing model --- Securities --- Options (Finance) --- Equilibrium (Economics) --- Evaluation --- Modèles mathématiques --- Prices --- Mathematical models --- Valeurs mobilières --- Valeurs mobilieres - Evaluation --- Valeurs mobilieres - Evaluation - Modèles mathématiques --- Securities - Prices - Mathematical models --- Options (Finance) - Prices - Mathematical models --- Finance.

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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Arbitrage -- Mathematical models. --- Differential equations, Partial. --- Martingales (Mathematics). --- Options (Finance) -- Prices -- Mathematical models. --- Business & Economics --- Finance --- Economic Theory --- Investment & Speculation --- Options (Finance) --- Arbitrage --- Martingales (Mathematics) --- Prices --- Mathematical models. --- Partial differential equations --- Law and legislation --- Mathematics. --- Finance. --- Applied mathematics. --- Engineering mathematics. --- Economics, Mathematical. --- Probabilities. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Applications of Mathematics. --- Finance, general. --- Stochastic processes --- Securities --- Speculation --- Distribution (Probability theory. --- Math --- Science --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Engineering --- Engineering analysis --- Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Econometrics --- Methodology

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This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.

Money market. Capital market --- Numerical analysis --- Options (Finance) --- Derivative securities. --- Options (Finances) --- Instruments dérivés (Finances) --- Valuation --- Mathematical models. --- Prices --- Prix --- Modèles mathématiques --- Derivative securities --- Mathematical models --- AA / International- internationaal --- 333.605 --- 305.91 --- Nieuwe financiële instrumenten. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Investments --- Nieuwe financiële instrumenten --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Instruments financiers --- Mathematical Sciences --- General and Others --- Options (Finance) - Valuation - Mathematical models --- Options (Finance) - Prices - Mathematical models --- Option